The global foreign exchange (FX) market represents a critical and sizeable component of our financial system. It is a market where firms and investors engage in both speculative trading and hedging. Over the years, there has been a growing interest in FX modeling and prediction. Recently,...

In this paper, we construct efficient forecast intervals for autoregressive conditional heteroscedastic (ARCH) models using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH model. An advantage of LE over the widely used quasi...